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Risk & Portfolio Management

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Risk & Portfolio Management

Value at Risk

The loss a portfolio is not expected to exceed over a stated period at a stated confidence level.

Parametric VaR = Portfolio Value x Z-score for the confidence level x Standard Deviation of Returns over the period ₹ Risk & Portfolio Management

Variance

The average of the squared deviations of returns from their mean.

Variance = Sum of (Return - Mean Return) squared / Number of Observations % Risk & Portfolio Management

Volatility

The degree to which an asset's returns vary around their average, usually measured as annualised standard deviation.

Annualised Volatility = Standard Deviation of Daily Returns x square root of 252 %